Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0204
Annualized Std Dev 0.1445
Annualized Sharpe (Rf=0%) -0.1411

Row

Daily Return Statistics

Close
Observations 3353.0000
NAs 1.0000
Minimum -0.1310
Quartile 1 -0.0020
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0021
Maximum 0.2583
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0091
Skewness 4.8243
Kurtosis 226.4524

Downside Risk

Close
Semi Deviation 0.0063
Gain Deviation 0.0085
Loss Deviation 0.0084
Downside Deviation (MAR=210%) 0.0112
Downside Deviation (Rf=0%) 0.0063
Downside Deviation (0%) 0.0063
Maximum Drawdown 0.4879
Historical VaR (95%) -0.0084
Historical ES (95%) -0.0200
Modified VaR (95%) NA
Modified ES (95%) -0.0066
From Trough To Depth Length To Trough Recovery
2007-12-12 2009-03-09 NA -0.4879 3340 310 NA
2007-11-16 2007-11-19 2007-11-28 -0.0099 5 2 3
2007-11-30 2007-12-03 2007-12-04 -0.0039 3 2 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA NA -0.2 0.5 0.3
2008 0.6 -0.5 0.2 0.3 0.2 -0.4 -0.3 0.1 8.2 0 0.8 5.1 15
2009 1.1 -1.2 -0.8 0.8 0.8 -0.1 0.5 -0.2 -1.6 -0.7 0.3 -0.2 -1.1
2010 0.2 -0.2 0.3 -0.2 -0.5 0.2 0.4 0.8 0.2 -0.2 0.6 -0.1 1.5
2011 0.3 -0.6 0.1 0.2 -0.3 0.1 0.2 0.5 -1 -0.5 -0.1 0.5 -0.7
2012 0.3 0.2 -0.1 0.2 -0.3 0.4 0.4 0.3 0 0.1 0.3 0 1.8
2013 0.1 0.4 0.4 0 -0.9 0.5 -0.8 -0.2 0.1 -0.2 -0.1 0.1 -0.7
2014 0 0.2 0.2 -0.1 0.2 0.1 -0.1 0 0.3 0.1 -0.8 0.1 0
2015 -0.5 0.1 -0.1 0.3 0.1 -0.2 -0.4 -0.4 -0.1 0.1 0.9 -0.1 -0.4
2016 -0.1 1.9 0 0.2 0.1 0.1 -0.2 0.1 0.4 -0.1 -0.2 0 2.2
2017 0.1 0.4 -0.2 0.1 0.2 0.2 0 0.2 0.2 -0.1 0.1 0.2 1.1
2018 -0.3 0.1 0.1 -0.1 0.2 -0.2 -0.1 0 0.2 0.1 -0.1 0.1 0.1
2019 -0.1 0.2 0.2 -0.2 -0.6 0.2 0.2 0.1 -0.3 0.2 0.1 0.1 0
2020 -0.2 0.2 -1.4 -1.5 0.2 0.4 0.5 0.1 0.5 0.2 0.2 0.1 -0.8
2021 0.4 0.8 0.3 NA NA NA NA NA NA NA NA NA 1.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-11-15  25.2 SPY    146. -0.0144  -0.011   -0.0565   0.0057   0.0424    0.226    0.634 GLD    78.0 -2.90e-2  -0.052 
2 2007-11-16  25.2 SPY    146.  0.0017   0.0045  -0.0514   0.008    0.0412    0.237    0.607 GLD    77.8 -2.60e-3  -0.0539
3 2007-11-19  25   SPY    144. -0.0139   0.0004  -0.0395  -0.0081   0.0241    0.212    0.573 GLD    77.2 -6.60e-3  -0.0135
4 2007-11-26  25.1 SPY    141. -0.0221  -0.0332  -0.0717  -0.0408   0.0002    0.193    0.498 GLD    81.3  6.00e-4   0.0457
5 2007-11-27  25.2 SPY    143.  0.0115  -0.0083  -0.0719  -0.008    0.0158    0.204    0.526 GLD    80.1 -1.48e-2   0.037 
6 2007-11-28  25.4 SPY    147.  0.032    0.0172  -0.0454   0.004    0.0629    0.243    0.574 GLD    79.6 -6.60e-3   0.0013
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart